Credit and Systemic Risks in the Financial Services Sector: Evidence From the 2008 Global Crisis

被引：10

作者：

Begin, Jean-Francois ^{[1
]}

Boudreault, Mathieu ^{[2
,3
]}

Doljanu, Delia Alexandra ^{[4
]}

Gauthier, Genevieve ^{[5
]}

机构：

[1] Simon Fraser Univ, Dept Stat & Actuarial Sci, 8888 Univ Dr, Burnaby, BC V5A 1S6, Canada

[2] Univ Quebec Montreal, Quantact, 201 President Kennedy Ave, Montreal, PQ H2X 3Y7, Canada

[3] Univ Quebec Montreal, Gerad, Dept Math, 201 President Kennedy Ave, Montreal, PQ H2X 3Y7, Canada

[4] Natl Bank Canada, 600 De La Gauchetiere Ouest St, Montreal, PQ H3B 4L2, Canada

[5] HEC Montreal, Dept Decis Sci, Gerad, 3000 Cote St Catherine Rd, Montreal, PQ H3T 2A7, Canada

来源：

JOURNAL OF RISK AND INSURANCE | 2019年 / 86卷 / 02期

基金：

加拿大自然科学与工程研究理事会;

关键词：

DEFAULT RISK; GRANGER CAUSALITY; DISTANCE; SPREADS; MODELS; VALUATION; INSURERS; NETWORK; DEBT;

D O I：

10.1111/jori.12210

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop a portfolio credit risk model that includes firm-specific Markov-switching regimes as well as individual stochastic and endogenous recovery rates. Using weekly credit default swap premiums for 35 financial firms, we analyze the credit risk of each of these companies and their statistical linkages, putting emphasis on the 2005-2012 period. Moreover, we study the systemic risk affecting both the banking and insurance subsectors.

引用

页码：263 / 296

页数：34

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